I actually find an unacceptable workaround. It is really twisted.
I only give that as reference. There should be a clean way to do it.
// ************************************************************************
private void DockingManager_DocumentClosing(object sender, Xceed.Wpf.AvalonDock.DocumentClosingEventArgs e)
{
e.Document.CanClose = false;
DocumentModel documentModel = e.Document.Content as DocumentModel;
if (documentModel != null)
{
Dispatcher.BeginInvoke(new Action(() => this.Model.DocumentItems.Remove(documentModel)), DispatcherPriority.Background);
}
}